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This original text develops a deep, conceptual understanding of thermal physics, highlighting the important links between thermodynamics and statistical physics, and examining how thermal physics fits within physics as a whole, from an empirical perspective. The first part of the book is devoted to elementary, mesoscopic topics such as Brownian motion, which leads to intuitive uses of large deviation theory, one of the pillars of modern probability theory. The book then introduces the key concepts behind statistical thermodynamics, and the final part describes more advanced and applied topics from thermal physics such as phase transitions and critical phenomena. This important subject is presented from a fresh perspective and in a highly pedagogical manner, with numerous worked examples and relevant cultural side notes throughout, making it ideal as either a textbook for advanced thermal physics courses or for self-study by undergraduate and graduate students in physics and engineering.